@techreport{NBERw15690,
 title = "Is the Spurious Regression Problem Spurious?",
 author = "Bennett T. McCallum",
 institution = "National Bureau of Economic Research",
 type = "Working Paper",
 series = "Working Paper Series",
 number = "15690",
 year = "2010",
 month = "January",
 URL = "http://www.nber.org/papers/w15690",
 abstract = {So-called “spurious regression” relationships between random-walk (or strongly autoregressive) variables are generally accompanied by clear signs of severe autocorrelation in their residuals.  A conscientious researcher would therefore not end an investigation with such a result, but would likely re-estimate with an autocorrelation correction.  Simulations show, for several typical cases, that the test-rejection statistics for the re-estimated relationships are very close to the true values, so do not yield results of the spurious type.},
}